Liquidity Provision and the Cross Section of Hedge Fund Returns
Published Online:29 Mar 2017https://doi.org/10.1287/mnsc.2016.2687
References
- (1999) The performance of hedge funds: Risk, return, and incentives. J. Finance 54(3):833–874.Crossref, Google Scholar
- (2009) Role of managerial incentives and discretion in hedge fund performance. J. Finance 64(5):2221–2256.Crossref, Google Scholar
- (2013) Inferring reporting-related biases in hedge fund databases from hedge fund equity holdings. Management Sci. 59(6):1271–1289.Link, Google Scholar
- (2010) The performance of emerging hedge funds and managers. J. Financial Econom. 96(2):238–256.Crossref, Google Scholar
- (2013) Out of the dark: Hedge fund reporting biases and commercial databases. Rev. Financial Stud. 26(1):208–243.Crossref, Google Scholar
- (2007) Does motivation matter when assessing trade performance? An analysis of mutual funds. Rev. Financial Stud. 20(1):125–150.Crossref, Google Scholar
- (2012) Performance of institutional trading desks: An analysis of persistence in trading costs. Rev. Financial Stud. 25(2):557–598.Crossref, Google Scholar
- (2013) Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. J. Financial Econom. 108(3):773–797.Crossref, Google Scholar
- (2007) Share restrictions and asset pricing: Evidence from the hedge fund industry. J. Financial Econom. 83(1):33–58.Crossref, Google Scholar
- (2005) Survival, look-ahead bias, and persistence in hedge fund performance. J. Financial Quant. Anal. 40(3):493–517.Crossref, Google Scholar
- (2014) Analysts’ assimilation of soft information in the financial press. Working paper, Boston College, Chestnut Hill, MA.Google Scholar
- (1999) Offshore hedge funds: Survival and performance, 1989–1995. J. Bus. 72(1):91–117.Crossref, Google Scholar
- (2000) The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. J. Financial Quant. Anal. 35(3):343–368.Crossref, Google Scholar
- (2007) Asset fire sales (and purchases) in equity markets. J. Financial Econom. 86(2):479–512.Crossref, Google Scholar
- (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52(3):1035–1058.Crossref, Google Scholar
- (1990) Noise trader risk in financial markets. J. Political Econom. 98(4):703–778.Crossref, Google Scholar
- (2008) Costly information processing: Evidence from earnings announcements. Working paper, University of California, San Diego, San Diego.Google Scholar
- (2009) An anatomy of pairs trading: The role of idiosyncratic news, common information, and liquidity. Working paper, University of California, San Diego, San Diego.Google Scholar
- FINalternatives (2014) Fund focus: Fairholme hedge fund builds on Berkowitz’ 25 years of success. (January 27), http://www.finalternatives.com/node/25948.Google Scholar
- (1998) Accounting valuation, market expectation, and cross-sectional stock returns. J. Accounting Econom. 25(3):283–319.Crossref, Google Scholar
- (2015) What constrains liquidity provision? Evidence from hedge fund trades. Working paper, University of Lugano, Lugano, Switzerland.Google Scholar
- (1999) How are stock prices affected by the location of trade? J. Financial Econom. 53(2):189–216.Crossref, Google Scholar
- (2000) Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases. J. Financial Quant. Anal. 35(3):291–307.Crossref, Google Scholar
- (2004) Hedge fund benchmarks: A risk-based approach. Financial Analysts J. 60(5):60–80.Crossref, Google Scholar
- (2011) Margin-based asset pricing and deviations from the law of one price. Rev. Financial Stud. 24(6):1980–2022.Crossref, Google Scholar
- (2011) Strategic trading by index funds and liquidity provision around S&P 500 index additions. J. Financial Markets 14(4):605–624.Crossref, Google Scholar
- (2014) Broker-hosted investor conferences. J. Accounting Econom. 58(1):142–166.Crossref, Google Scholar
- (2009) How smart are the smart guys? A unique view from hedge fund stock holdings. Rev. Financial Stud. 22(7):2531–2570.Crossref, Google Scholar
- (1988) Liquidity and market structure. J. Finance 43(3):617–633.Crossref, Google Scholar
- (2013) How do institutions trade around corporate news? Working paper, University of Waterloo, Waterloo, Canada.Crossref, Google Scholar
- (2010) Do hot hand exists among hedge fund managers? An empirical evaluation. J. Finance 65(1):217–255.Crossref, Google Scholar
- (1990) Evidence of predictable behavior of security returns. J. Finance 45(3):881–898.Crossref, Google Scholar
- (2010) Institutional trades around takeover announcements: Skill vs. inside information. Working paper, Emory University, Atlanta.Google Scholar
- (2014) Do hedge funds supply or demand liquidity? Rev. Finance 18(4):1259–1298.Crossref, Google Scholar
- (1994) Market liquidity and volume around earnings announcements. J. Accounting Econom. 17(1–2):41–67.Crossref, Google Scholar
- (2004) Technical analysis and liquidity provision. Rev. Financial Stud. 17(4):1043–1071.Crossref, Google Scholar
- (2011) What happened to the quants in August 2007? Evidence from factors and transaction data. J. Financial Markets 14(1):1–46.Crossref, Google Scholar
- (2015) Hedge funds and stock market efficiency. Management Sci. 61(12):2890–2904.Link, Google Scholar
- (2007) Do hedge funds deliver alpha? A Bayesian and bootstrap analysis. J. Financial Econom. 84(1):229–264.Crossref, Google Scholar
- (1996) Earnings announcements and the components of the bid-ask spread. J. Finance 51(4):1523–1535.Crossref, Google Scholar
- (1990) Fads, martingales, and market efficiency. Quart. J. Econom. 105(1):1–28.Crossref, Google Scholar
- (2012) Evaporating liquidity. Rev. Financial Stud. 25(7):2005–2039.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2015) Change you can believe in? Hedge fund data revisions. J. Finance 70(3):963–999.Crossref, Google Scholar
- (2009) Estimating standard errors in finance panel data sets: Comparing approaches. Rev. Financial Stud. 22(1):435–480.Crossref, Google Scholar
- (2011) The interim trading skills of institutional investors. J. Finance 66(2):601–633.Crossref, Google Scholar
- (2006) Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. J. Financial Econom. 80(2):309–349.Crossref, Google Scholar
- (2010) Liquidity risk and the cross-section of hedge-fund returns. J. Financial Econom. 98(1):54–71.Crossref, Google Scholar
- (2010) Individual investors and local bias. J. Finance 65(5):1987–2010.Crossref, Google Scholar
- (1997) The limits of arbitrage. J. Finance 52(1):35–55.Crossref, Google Scholar
- (2011) A structural model of short-term reversals. Working paper, Aalto University School of Business, Helsinki, Finland.Crossref, Google Scholar
- (2001) Eliminating look-ahead bias in evaluating persistence in mutual fund performance. J. Empirical Finance 8(4):345–373.Crossref, Google Scholar
- (2011) All the news that’s fit to reprint: Do investors react to stale information? Rev. Financial Stud. 24(5):1481–1512.Crossref, Google Scholar
- (2011) Do the best hedge funds hedge? Rev. Financial Stud. 24(1):123–168.Crossref, Google Scholar
- (2000) Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses. J. Finance 55(4):1655–1694.Crossref, Google Scholar
- (2004) Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Working paper, University of Maryland, College Park.Google Scholar

